Alonso has found himself cast aside at Stamford Bridge and on the offloading pile after he infuriated Frank Lampard with some questionable and disrespectful behaviour during the draw against West Brom.
Alonso has not featured at all since, despite the Blues missing Ben Chilwell at times, the attack-minded Spaniard has still been left on the sidelines.
Marca report that the deal will be a loan one, with Diego Simeone’s side in need of full-back reinforcement following the 10-match ban to England international Kieran Trippier.
Alonso is contracted until the summer of 2023 and the Blues will be hoping that the 30-year-old can turn in some fine displays in his homeland and attract suitors interested in a permanent deal.
The left-back looks set to move back to his home of Madrid, and also to a side that his father – Marcos Alonso Pena – turned out for in two playing spells during his career.
Atletico sit top of La Liga with two games in hand over rivals Real Madrid, replacing the attacking quality that Trippier brings with another forward-minded player like Alonso could be ideal to keep them up.